We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility … spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility … contagion across various industrial sectors, investigates portfolio strategies based on the volatility spillovers, and aims to …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …

of companies on their implied and historical share volatility. Our regressions show a clear relationship between the … stock volatility. However, our combined rating has the strongest impact. …